SQL Server Management Studio 2008 R2 from Microsoft is the first version of Management Studio to support SQL Azure. I downloaded it and was somewhat surprised that one of the basic features did not work as expected. I expect these issues will be cleared up in the next version of the software, but for the time being you are going to have to know a nuance when using Management Studio to interact with SQL Azure databases. While I think the tools are currently lacking in some obvious ways, I am 100% convinced that learning SQL Azure and leveraging the cloud are valuable pursuits and expect the tools to improve over the course of future releases.
First, I expected Management Studio 2008 R2 to offer right-clicking a table inside a SQL Azure database and selecting Script Table As > Create To > New Query Editor Window. It does offer this feature, but the SQL that it generates disappointingly is not valid SQL for SQL Azure. Instead, after creating this script you’re going to have to remove the PAD_INDEX = OFF because SQL Azure does not support this feature. My disappointment was not in SQL Azure supporting this feature, but in the fact that Management Studio 2008 R2 when connected to a SQL Azure database generates script that’s invalid for SQL Azure.
Also, if you are interested in taking a database you have locally and migrating it to SQL Azure then you might want to check out this SQL Azure migration tool. One of the main differences between SQL Server and SQL Azure that you have to plan for before migrating is that all SQL Azure database tables must have a clustered index.